Organisers said around 40,000 people gathered in Neve Dekalim in the Gush Katif settlement, during what should be their last Passover holiday in the strip of Palestinian land occupied by Israel.
A massive security operation was launched both inside and outside Gaza. One soldier was slightly wounded by mortar fire from a suspected Palestinian militant.
With the border into the south of the territory closed to private vehicles, hundreds of buses were hired to ferry demonstrators to the protest.
Demonstrators marched to the Mediterranean coast, where they listened to live music and speeches from nationalist politicians.
“Jews don’t expel other Jews,” chanted hundreds of marchers dressed in orange — chosen by settlers as their protest colour.
“I am convinced that one year from now, we will still be here,” shouted Avner Shimoni, president of Gush Katif regional council.
Among others who addressed the crowd was MP Effi Eitam, who left Israeli Prime Minister Ariel Sharon’s cabinet last year to protest the pullout.
He urged demonstrators to block the withdrawal.
Many protesters travelled from the West Bank where the vast majority of the 245,000 Israeli settlers live.
All 21 settlements in the Gaza Strip are due to be evacuated along with four of the 120 in the West Bank.
Mr Sharon has vowed to uproot all 8,000 settlers from settlements in Gaza in an operation that should start within four months.
The Prime Minister wants to delay the scheduled start of evacuations by three weeks until mid-August to avoid a Jewish mourning period.
While Palestinian leader Mahmoud Abbas has vowed to ensure the pullout takes place in a calm atmosphere, the Israeli army fears militant groups will step up attacks in a bid to portray the withdrawal as an act of surrender.
Most Israelis favour giving up the enclaves where the settlers live among 1.3 million Palestinians on land captured in the 1967 Middle East war.
Mr Sharon fought for more than a year to get the withdrawal plan, which also includes four West Bank settlements, past his cabinet and Israel’s parliament, splitting his right-wing Likud party.